Informe Option Levels

Futures are flat to last nights close at 4120. This indicates the cash open will be below the key pivot level of 4100-4110 (SPY 410). Key support remains at 4060 (SPY 405) – 4050. Resistance is at the 4130, which is the SPY 412 Call Wall.

Neither bulls nor bears found anything particularly compelling out of yesterdays data, and we saw clean mean reversion around key large options strikes. 4150 was the largest call volume strike with +100k volume, and similar amount was traded at the 4100 puts. We think the relatively low IV led options sellers to have to sell strikes closer to the money – and to this point we see +18k calls added to 4150, and enough 412 SPY calls added (+40k OI) to shift our SPY Call Wall to 412. Put action was unimpressive.

Looking at implied volatility, there was a reduction in IV at upside strikes which indicates traders on net selling calls. This is portrayed by the blue areas to the right of the black dotted line.

Ultimately, these volumes and OI adjustments were not terribly large. The end result of this is that gamma has increased in the 405/4050-415/4150 range which reinforces our view of this being a sticky price range.You can see how large the gamma strikes are below for calls (orange) and puts (blue). While gamma is largely concentrated around 410/4100, we note there remains a lot of gamma down at 4000 which should continue to be an prominent support level into next weeks expiration.

On the topic of expiration, we see charm now becoming increasingly important. April expiration is currently call weighted, as implied by the larger call gamma (orange) vs put gamma (blue) for April OPEX. This imbalance backs the idea that the S&P is in a positive gamma regime, which should serve to keep volatility muted. As gamma increases inversely to time,  gamma related to April OPEX hedging flows should tighten around strikes with large positions.

As unexciting as all this may be, yesterdays activity seems to just play into the existing setup. Below is our price map from yesterdays note, and we see little reason to shift from this. Options flows should continue to restrict volatility/pin price action, and there are only three conditions that change this:

1. Prices have to break $4,000 – however options flows should be restricting volatility into next week. It therefore likely takes several days to grind down and test $4,000
2. Very large, meaningful positions have to come in – this is rather unlikely as we’d need a catalyst
3. A large expiration needs to remove at-the-money positions – this is not a factor until next Friday’s April OPEX

SpotGamma Proprietary Levels	SPX	SPY	NDX	QQQ	RUT	IWM
Reference Price:	$4091	$408	$12848	$313	$1773	$175
SpotGamma Implied 1-Day Move:	0.98%	0.98%
SpotGamma Implied 5-Day Move:	2.69%
SpotGamma Volatility Trigger™:	$4095	$408	$12520	$315	$1900	$175
Absolute Gamma Strike:	$4000	$410	$12525	$315	$1800	$175
SpotGamma Call Wall:	$4200	$412	$12525	$320	$1735	$178
SpotGamma Put Wall:	$3900	$400	$11000	$300	$1750	$170

Additional Key Levels	SPX	SPY	NDX	QQQ	RUT	IWM
Zero Gamma Level:	$4227	$439	$12552	$347	$1762	$205
Gamma Tilt:	1.1	0.8	1.7	0.91	0.64	0.5
SpotGamma Gamma Index™:	0.45	-0.19	0.046	-0.025	-0.023	-0.088
Gamma Notional (MM):	$4.2B	$8.1B	$29M	$3.5B	$118M	$3B
25 Day Risk Reversal:	-5.93%	-5.57%	-5.05%	-5.08%	-5.18%	-5.45%
Call Volume:	570K	2.2M	8.7K	780K	14K	196K
Put Volume:	885K	2.8M	8.3K	957K	20K	809K
Call Open Interest:	6M	6.9M	55K	4.7M	173K	3.3M
Put Open Interest:	12M	14M	62K	8M	330K	7.3M

Key Support & Resistance Strikes

SPX Levels: [4150, 4100, 4050, 4000]

SPY Levels: [410, 408, 405, 400]

NDX Levels: [14000, 13000, 12525, 12500]

QQQ Levels: [320, 315, 310, 300]

SPX

SPY

NDX

QQQ

RUT

IWM

SPX Gamma Model

Apr 13

$3,295

$3,745

$4,195

$4,910

Strike

-$1.5B

-$840M

-$140M

$1.2B

Gamma Notional

Put Wall: 3900

Call Wall: 4200

Abs Gamma: 4000

Vol Trigger: 4095

Last Price: 4091

Strike: $4,729

• Next Expiration: $501,566,557
• Current: $501,806,046